Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0061 |
| Annualized Std Dev | 0.0445 |
| Annualized Sharpe (Rf=0%) | 0.1374 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3571.0000 |
| NAs | 1.0000 |
| Minimum | -0.0593 |
| Quartile 1 | -0.0005 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0006 |
| Maximum | 0.0651 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0028 |
| Skewness | -0.6845 |
| Kurtosis | 189.0896 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0021 |
| Gain Deviation | 0.0024 |
| Loss Deviation | 0.0029 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0021 |
| Downside Deviation (0%) | 0.0021 |
| Maximum Drawdown | 0.1338 |
| Historical VaR (95%) | -0.0022 |
| Historical ES (95%) | -0.0056 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.1629 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-03-06 | 2020-03-19 | 2020-06-10 | -0.1338 | 67 | 10 | 57 |
| 2008-03-03 | 2008-10-10 | 2009-07-22 | -0.1246 | 351 | 156 | 195 |
| 2016-07-01 | 2018-12-04 | 2019-05-31 | -0.0320 | 733 | 612 | 121 |
| 2010-11-01 | 2011-12-02 | 2012-07-31 | -0.0172 | 441 | 276 | 165 |
| 2010-03-17 | 2010-06-04 | 2010-07-23 | -0.0150 | 90 | 56 | 34 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -0.2 | -0.7 | 0 | -0.4 | -0.5 | 0.2 | -0.4 | 0 | -0.5 | -0.1 | -0.2 | 0.1 | -2.9 |
| 2008 | -0.2 | 0.3 | -0.7 | -0.2 | -0.1 | -0.3 | -0.4 | -0.1 | 1.5 | -0.3 | 0.9 | -0.1 | 0.3 |
| 2009 | 0.1 | -0.5 | -0.6 | -0.4 | -0.2 | -0.5 | 0.5 | -0.2 | -0.5 | 0.1 | -0.2 | 0 | -2.3 |
| 2010 | -0.3 | -0.1 | -0.2 | 0 | -0.3 | 0.1 | 0.2 | -0.2 | -0.1 | -0.1 | -0.3 | 0.2 | -1.1 |
| 2011 | -0.3 | -0.2 | -0.3 | 0 | 0 | -0.3 | 0.1 | -0.1 | -0.1 | -0.2 | -0.2 | 0 | -1.7 |
| 2012 | -0.2 | -0.1 | -0.1 | 0 | -0.3 | 0 | -0.1 | 0.1 | -0.4 | -0.2 | 0.1 | 0.1 | -1.2 |
| 2013 | 0 | -0.1 | -0.2 | -0.1 | -0.1 | -0.1 | -0.2 | 0 | -0.1 | -0.1 | 0 | 0.1 | -1 |
| 2014 | 0 | 0 | -0.1 | -0.1 | 0 | -0.1 | 0.1 | 0.1 | 0 | 0 | -0.1 | 0.1 | -0.1 |
| 2015 | 0 | 0 | -0.1 | 0 | -0.2 | -0.2 | 0.1 | 0 | -0.1 | 0.1 | -0.1 | 0.1 | -0.3 |
| 2016 | -0.2 | -0.1 | -0.2 | -0.1 | -0.1 | -0.1 | -0.2 | -0.1 | -0.1 | -0.1 | -0.2 | 0.1 | -1.2 |
| 2017 | -0.2 | -0.2 | 0 | -0.2 | -0.1 | 0 | -0.2 | -0.1 | 0 | -0.2 | -0.1 | 0 | -1.3 |
| 2018 | -0.2 | -0.1 | 0 | -0.2 | -0.2 | 0 | -0.2 | 0.1 | -0.2 | -0.1 | -0.1 | 0 | -1.3 |
| 2019 | -0.3 | -0.4 | -0.5 | -0.4 | 0.2 | -0.3 | 0.1 | 0 | -0.1 | -0.3 | 0 | -0.1 | -1.9 |
| 2020 | 0.2 | 0.4 | -0.8 | -0.3 | -0.2 | 0 | 0.1 | -0.1 | -0.1 | 0 | -0.3 | 0 | -1.1 |
| 2021 | -0.1 | -0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-11 50.1 SPY 142. 0.0044 0.0035 0.0052 0.0509 0.103 0.265 0.230 GLD 60.6 0.0007 -0.0165
2 2007-01-12 50.1 SPY 143. 0.0076 0.0192 0.0099 0.0602 0.108 0.265 0.234 GLD 62.2 0.0254 0.0332
3 2007-01-16 50.1 SPY 143. -0.002 0.0125 0.0087 0.049 0.110 0.270 0.244 GLD 62.0 -0.0032 0.0246
4 2007-01-17 50.1 SPY 143. 0.0004 0.0138 0.0081 0.0468 0.111 0.260 0.252 GLD 62.6 0.0108 0.0294
5 2007-01-18 50.1 SPY 143. -0.0034 0.0071 -0.0041 0.0417 0.111 0.253 0.238 GLD 62.3 -0.0061 0.0276
6 2007-01-19 50.1 SPY 143. 0.002 0.0046 0.0034 0.047 0.117 0.250 0.266 GLD 63 0.0119 0.0391
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
